Asymptotic Theory for Econometricians (Economic Theory, Econometrics, and Mathematical Economics) [Hardcover]

Halbert White (Author), Karl Shell (Series Editor)

Book Description

Publication Date: May 12, 1984 | ISBN-10: 0127466509 | ISBN-13: 978-0127466507 | Edition: 1st

This book is intended to provide a somewhat more comprehensive and unified treatment of large sample theory than has been available previously and to relate the fundamental tools of asymptotic theory directly to many of the estimators of interest to econometricians. In addition, because economic data are generated in a variety of different contexts (time series, cross sections, time series--cross sections), we pay particular attention to the similarities and differences in the techniques appropriate to each of these contexts.

Editorial Reviews

From the Back Cover

The amount of financial data created every day by world stock markets, world governments, financial institutions, and other sources, is increasing at an enormous rate. Economists and financial analysts need tools to manage these large sets of data in a timely and accurate way. Classical linear models of economics have failed to deal with such large amounts of data, and asymptotic theory is the tool that economists have come to rely on for this type of data management.
Large sample theory and the fundamental tools of asymptotic theory converge in this thoroughly revised edition of Asymptotic Theory for Econometricians. New material on functional central limit theory and its applications, material on cointegration, and many small points make this Revised Edition a comprehensive and unified treatment of large sample theory. The scope of the book remains the same as that of the First Edition, with sufficient material to fill a full year's course work. This edition also contains updated material on asymptotically efficient instrumental variables estimation, efficient estimation with estimated error covariance matrices, and efficient IV estimation. Exercise solutions have also been updated and expanded.
Asymptotic Theory for Econometricians is intended both as a reference for practicing econometricians and financial analysts and as a textbook for graduate students taking courses in econometrics beyond the introductory level. It assumes that the reader is familiar with the basic concepts of probability and statistics as well as with calculus and linear algebra, and that the reader also has a good understanding of the classical linear model. --This text refers to an alternate Hardcover edition.

Product Details

• Hardcover: 228 pages
• Publisher: Academic Press; 1st edition (May 12, 1984)
• Language: English
• ISBN-10: 0127466509
• ISBN-13: 978-0127466507
• Product Dimensions: 9 x 6.1 x 0.9 inches
• Shipping Weight: 1 pounds
• Average Customer Review: 4.5 out of 5 stars  See all reviews (6 customer reviews)
• Amazon Best Sellers Rank: #2,413,740 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

10 of 10 people found the following review helpful:

5.0 out of 5 stars A very useful resource, November 15, 2000

By 

Charlie Adams (Washington, DC) - See all my reviews

This review is from: Asymptotic Theory for Econometricians: Revised Edition (Economic Theory, Econometrics, and Mathematical Economics) (Economic Theory, Econometrics, & Mathematical Economics) (Hardcover)

This is a must-have for economists who do any work with theoretical econometrics. It is the kind of book I wish I had when I was a graduate student in economics. It provides kind of a theoretical backing to books like Greene and updates the more difficult to read econometrics texts of long ago like Theil.

White starts out easy (easy if you do econometrics, that is). The linear model and the consequences of violating the basic assumptions. But from the basic beginning, the book goes far and seems to focus on those issues I consider to be most important (and things I didn't get first time around). And it takes you up to the "cutting edge."

Too often, things like Laws of Large Numbers and Central Limit Theory are thrown at you like a tool that you must accept. But reading White's book helps you understand why these things work the way they do. I found this helpful.

One more thing: Solutions in the back! perhaps this will start a trend.

Some of the items might be difficult if you haven't had a bit of analysis or your understanding of applied econometrics isn't too good. But I guess if you pick up something called "Asympotic Theory" you know what you are getting into.

I enjoyed it.

5 of 6 people found the following review helpful:

5.0 out of 5 stars The best introduction on Asymptotic Theory for Econometrics, April 15, 2000

By 

Rodrigo D. S. Bueno (Sao Paulo - Brazil) - See all my reviews
(REAL NAME)   

This review is from: Asymptotic Theory for Econometricians (Economic Theory, Econometrics, and Mathematical Economics) (Hardcover)

This book provides the basics of asymptotic theory for linear econometric models. It presents very clearly the classical assumptions concerning linear models, and shows the implications from them. Then, it relaxes each assumption, and compares the results with those obtained previously. This makes the book very readable and understandable.

Of course, the reader is required to have taken a course in Econometrics, and should be used to matrix notation.

I strongly recommend this book for those who wish to deepen their undertanding on Econometric Theory. I think this is the first book to be read.

The exercises are proposed in the body of the text and should be solved before going on, because in fact they are part of the text. The solution is in the end of the book.

4.0 out of 5 stars A necessary book for theoretical econometricians, December 7, 2011

By 

C. Vladimir Rodríguez Caballero (México DF, México) - See all my reviews

This review is from: Asymptotic Theory for Econometricians: Revised Edition (Economic Theory, Econometrics, and Mathematical Economics) (Economic Theory, Econometrics, & Mathematical Economics) (Hardcover)

This is an excellent book for a theoretical econometrician. A little bad point about this book: it is a bid old because you won't find a lot of theorems for the most modern econometric results; the unit root theory is only presented for some pages and this book does not cover anything about other important new concepts in theoretical econometrics like long memory, VAR and so on. However, if you are interested on studying the classical results in econometric theory, this textbook will be really useful.